Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0284 |
| Annualized Std Dev | 0.2261 |
| Annualized Sharpe (Rf=0%) | 0.1255 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3388.0000 |
| NAs | 1.0000 |
| Minimum | -0.1145 |
| Quartile 1 | -0.0060 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0070 |
| Maximum | 0.0983 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -0.3635 |
| Kurtosis | 7.6146 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0104 |
| Gain Deviation | 0.0099 |
| Loss Deviation | 0.0113 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0103 |
| Downside Deviation (0%) | 0.0103 |
| Maximum Drawdown | 0.6008 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0346 |
| Modified VaR (95%) | -0.0225 |
| Modified ES (95%) | -0.0423 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-02 | 2009-03-09 | 2013-09-10 | -0.6008 | 1469 | 336 | 1133 |
| 2018-01-29 | 2020-03-23 | 2021-02-11 | -0.4507 | 766 | 541 | 225 |
| 2014-07-07 | 2016-02-12 | 2017-04-24 | -0.2242 | 706 | 406 | 300 |
| 2013-10-23 | 2014-02-03 | 2014-03-06 | -0.0793 | 92 | 70 | 22 |
| 2014-03-07 | 2014-03-20 | 2014-05-29 | -0.0433 | 58 | 10 | 48 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 | 0.3 | -0.2 | 0.1 | 1 |
| 2008 | 3.9 | -0.7 | 3.5 | 1 | 0.3 | -1.4 | -0.2 | -1.3 | -1.1 | 3.5 | -5.8 | 0.1 | 1.4 |
| 2009 | -0.8 | -1.1 | 1 | 1.3 | 3.6 | 2.3 | 1.3 | -3.1 | -1.6 | -5.1 | 4 | -1.1 | 0.2 |
| 2010 | 1.5 | 1.2 | 1.4 | -1.3 | -0.8 | -0.8 | 0.7 | 3 | 0.9 | -0.2 | 2.9 | 1.3 | 10.3 |
| 2011 | 2 | -1.1 | 0.4 | 0.4 | -1.4 | 0.7 | -0.5 | -1.9 | -2.5 | -2.8 | -1.6 | 1 | -7.2 |
| 2012 | 1.7 | 0.8 | -1.3 | 0.4 | -3.3 | 4.8 | -0.2 | 1.2 | 0.5 | 0.8 | -0.1 | 1.2 | 6.6 |
| 2013 | 1 | 0.4 | -1.8 | -0.6 | -2.2 | 0.7 | 1.1 | -1.8 | 0.9 | -0.9 | 0.7 | 1.2 | -1.4 |
| 2014 | -1.2 | 0.4 | 0.2 | 0.4 | 0.1 | 0.9 | -0.2 | 0.2 | -1.2 | 1.4 | -0.1 | 0.3 | 1.2 |
| 2015 | -1.6 | 0 | 0.1 | 0.2 | 0.1 | -0.4 | 0.3 | -3 | 0.3 | 0.5 | 1.1 | -0.4 | -2.8 |
| 2016 | 0.3 | 2.1 | -1 | -0.2 | 0 | 0.6 | -0.8 | 0.8 | 0.1 | -0.1 | 0 | 0.2 | 1.9 |
| 2017 | 0.6 | 0.8 | -0.2 | 0.3 | 1 | 1.1 | 0.4 | 0.3 | 0.6 | 0.7 | -0.4 | 0.1 | 5.6 |
| 2018 | 0.3 | -1.3 | 1.3 | -0.3 | 0.6 | 0.5 | -0.4 | -0.1 | 0.1 | 1.6 | 0 | -0.1 | 2.2 |
| 2019 | -0.3 | 0.6 | 1.9 | -1 | -0.2 | 1 | -0.9 | 0.7 | -0.4 | 1 | -0.7 | 0.3 | 1.9 |
| 2020 | -1.3 | -1 | -4 | -2.3 | 2.2 | 0.2 | -1.6 | 0.1 | 0.7 | -0.3 | 2.3 | -0.5 | -5.7 |
| 2021 | 1.6 | 1.8 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-09-27 25.5 SPY 153. 0.0059 0.0053 0.0652 0.018 0.146 0.382 0.815 GLD 72.7 0.0097 -3.00e-4
2 2007-09-28 25.7 SPY 153. -0.0033 0.004 0.0412 0.0143 0.141 0.371 0.780 GLD 73.5 0.0111 1.62e-2
3 2007-10-01 25.9 SPY 154. 0.0113 0.0172 0.0558 0.0165 0.154 0.380 0.865 GLD 73.9 0.0053 2.24e-2
4 2007-10-02 25.9 SPY 154. -0.0014 0.0178 0.044 0.0115 0.154 0.379 0.884 GLD 72.4 -0.021 3.00e-4
5 2007-10-03 25.9 SPY 154. -0.002 0.0104 0.0315 0.0105 0.156 0.353 0.794 GLD 71.9 -0.0062 -1.40e-3
6 2007-10-04 25.8 SPY 154. 0.0016 0.0061 0.0422 0.0068 0.155 0.353 0.852 GLD 72.9 0.0135 2.30e-3
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
